Search found 12 matches

by krasnall
Sat Oct 24, 2020 2:44 pm
Forum: Non-US Investing
Topic: FT article on withholding tax and switching to synthetic ETFs
Replies: 28
Views: 2368

Re: FT article on withholding tax and switching to synthetic ETFs

Any source for this? If the CP risk is only 10%, it seems a worthwhile tradeoff for the increased performance, especially since there is some CP risk anyway in physically replicating funds that lend shares. Honestly I cannot provide a direct regulation. I can only point you to the Lyxor guide : Und...
by krasnall
Sat Oct 24, 2020 7:16 am
Forum: Non-US Investing
Topic: FT article on withholding tax and switching to synthetic ETFs
Replies: 28
Views: 2368

Re: FT article on withholding tax and switching to synthetic ETFs

Note that in the table there you have results until 21 and 22 OCT - different dates, different results. If you compare official NAV from the fund providers: Fund 2016 2017 2018 2019 Lyxor S&P500 11.79% 21.69% -4.55% 31.31% Vanguard S&P500 11.51% 21.37% -4.76% 31.01% You can also compare it a bit les...
by krasnall
Fri Oct 16, 2020 8:58 am
Forum: Non-US Investing
Topic: FT article on withholding tax and switching to synthetic ETFs
Replies: 28
Views: 2368

Re: FT article on withholding tax and switching to synthetic ETFs

What synthetic ETFs do (at least in Europe) is they hold a basket of "random" securities and a swap agreement. The swap agreement means that the ETF will pay the basket performance to the swap counterparty, and the swap counterparty will pay the index performance to the ETF. That can happen (I guess...
by krasnall
Sat Oct 10, 2020 8:37 am
Forum: Non-US Investing
Topic: FT article on withholding tax and switching to synthetic ETFs
Replies: 28
Views: 2368

Re: FT article on withholding tax and switching to synthetic ETFs

Tracking Error is always positive. A high Tracking Error means it had a different return, not worse. Could have had more days when it beat the index and more days when it did worse. Yes, you are right about the tracking error, however the website I mentioned calculates the tracking difference betwe...
by krasnall
Sat Oct 10, 2020 8:08 am
Forum: Non-US Investing
Topic: FT article on withholding tax and switching to synthetic ETFs
Replies: 28
Views: 2368

Re: FT article on withholding tax and switching to synthetic ETFs

I understood that withholding tax is zero for swap based ETFs, isn't that the case? (you say that it might be reduced further) It might be 0. I didn't dig deep enough to know exactly. I tried checking the annual report for Lyxor funds, but strangely withholding taxes are nowhere to be found. Intere...
by krasnall
Sat Oct 10, 2020 6:45 am
Forum: Non-US Investing
Topic: FT article on withholding tax and switching to synthetic ETFs
Replies: 28
Views: 2368

Re: FT article on withholding tax and switching to synthetic ETFs

I think there are a lot of myths and misunderstandings around synthetic ETFs. In Europe, UCITS swap based ETF limit the counter party risk to 10% of the fund's value. What you gain is a slightly better return, mostly due to lower withholding taxes paid by the ETF (level 1). For example, Lyxor's swap...
by krasnall
Sun Oct 04, 2020 5:59 am
Forum: Non-US Investing
Topic: Vanguard Global Value VDVA Turnover Rate
Replies: 10
Views: 1307

Re: Vanguard Global Value VDVA Turnover Rate

Sure. It was the first time I run my own regression. Monthly returns come from Vanguard and iShares websites. Factor data (Fama/French Developed 5 Factors) comes from Ken French's website . Regression was done in Excel according to instructions from William Bernstein's website . Feel free to downloa...
by krasnall
Sat Oct 03, 2020 11:26 am
Forum: Non-US Investing
Topic: Vanguard Global Value VDVA Turnover Rate
Replies: 10
Views: 1307

Re: Vanguard Global Value VDVA Turnover Rate

Why such a high turnover rate? OK, so I decided to look into that again since the turnover rates are very different for VVAL and VVL (the Canadian-listed equivalent). I also looked into Vanguard All-World UCITS ETF and noticed a negative (-12%) turnover rate. That added to my confusion. I checked t...
by krasnall
Sat Oct 03, 2020 9:38 am
Forum: Non-US Investing
Topic: IB question buying ETFs in a different currency
Replies: 10
Views: 1087

Re: IB question buying ETFs in a different currency

You are absolutely right about the complexity of TWS desktop compared to the mobile app. I just meant that in my experience the spread in TWS is always close to zero, while the mobile app sometimes gives me the rate which is around 1% worse then spot market, and sometimes is just a regular bid/ask p...
by krasnall
Fri Oct 02, 2020 7:16 pm
Forum: Non-US Investing
Topic: Vanguard Global Value VDVA Turnover Rate
Replies: 10
Views: 1307

Re: Vanguard Global Value VDVA Turnover Rate

This fund (also known as VVAL or VGVL, depending on exchange) has a high turnover by design. It it not market cap weighted, but instead it weights its holdings by factor loading. It also overweights mid and small cap stocks. It might rebalance more often than a typical index fund (which is usually r...
by krasnall
Fri Oct 02, 2020 9:34 am
Forum: Non-US Investing
Topic: IB question buying ETFs in a different currency
Replies: 10
Views: 1087

Re: IB question buying ETFs in a different currency

Assuming you have a margin account: the ETF will be bought with borrowed funds. Your cash in base currency will be used to secure the loan. You will pay interest on borrowed funds, but your result on this trade will be based only on profit/loss of the ETF (it will work like a currency hedged ETF). I...
by krasnall
Thu Sep 17, 2020 11:53 am
Forum: Non-US Investing
Topic: Brexit Planning message from IB to EU customers
Replies: 16
Views: 1763

Re: Brexit Planning message from IB to EU customers

"As IBUK clients are carried by our US broker, IBL, the securities segment of their account may be eligible for insurance by the Securities Investor Protection Corporation (“SIPC”) at an amount of up to USD 500,000 (subject to a cash sublimit of USD 250,000)." I find this part confusing though.... ...